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When to buy a box spread? (formula)

March 3, 2018

(c1 – c2 + p2 – p1) < (X2 – X1)/(1 + Rf)^T

c1 = cost of buying a call with strike price X1

c2 = cost of call sold with strike price X2

p2 = cost of buying a put with strike price X2

p1 = cost of put sold with strike price X1

T = time until the options expire in fractions of a year

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